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Early SOFR/Treasury Option Roundup

US TSYS

Modest overnight option volumes, mixed trade with some recent limited downside SOFR put condors trading. Underlying futures bouncing off Thursday's lows (TYU3 +18 at 109-27, yield 4.221%) while rate hike projections through year end recede slightly, Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +9.1bp at 5.42, December cumulative of 6bp at 5.389%. Fed terminal slips to 5.415% in Nov'23.

  • SOFR Options:
    • over 5,000 SFRV3 94.31/94.43/94.50/94.62 put condors ref 94.625 to -.63
    • 2,000 SFRX3 94.93 puts ref 94.63
  • Treasury Options:
    • over 10,300 3MQ3 110 calls, 6-8 ref 109-27.5 to -25 (expire today)
    • 4,000 TYU3 111 calls, 7 ref 109-24
    • 2,000 TUU3 101.75 calls, 1.5 ref 101-13.38
    • over 7,000 FVU3 105.5 puts, 8 last, ref 106-00.5
    • 4,000 TYU3 109.5 puts, 26 ref 109-21
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